ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915)
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scientific article; zbMATH DE number 2186802
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| English | ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC |
scientific article; zbMATH DE number 2186802 |
Statements
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (English)
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6 July 2005
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Fractional Brownian motion
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arbitrage
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stochastic volatility
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stochastic integration
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fractal market models
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0.90933937
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0.9085873
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0.90425044
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0.8762912
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0.8742223
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0.8740368
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0.8700571
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0.8693656
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